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A stock price is currently $66. Over each of the next two 3-month periods it is expected to go up by 5% or down by
A stock price is currently $66. Over each of the next two 3-month periods it is expected to go up by 5% or down by 5%. The risk-free interest rate is 4% per annum with continuous compounding. What is the value of a 6 month European call option with a strike price of $65? Keep intermediate step numerical values correct to 3 decimal places and calculate your final answer to 2 decimal places.
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